Using the probability distribution approach, this study explores the weekday effects among Tokyo, London, and New York gold markets. Friday shows positive and significant higher returns, whereas Tuesday shows negative and significant lower returns than other weekdays. The weekend effects still exist, while Monday effects disappear. On average, London was found to have the highest returns, followed by New York and Tokyo. The peak and width estimations show that Tokyo has the highest volatility, while London and New York have similar volatility distributions, implying a similar preference behavior of investors. It also implies that arbitrage opportunities between London and New York could be trivial. After estimating the distribution from Monday to Friday across the three markets, we found that the distribution of return shows a leftward shifting in London and New York, meaning that the weekend effect is starting earlier from Wednesday and Thursday in London and New York. Some strategy implications are valuable to traders or hedgers Vol. 11, Iss: 2, pp.33-44.